Question
RISK MANAGEMENT 1) Suppose that a fund manager announces that the fund's one month 95% VaR is 6% of the size of the portfolio being
RISK MANAGEMENT
1) Suppose that a fund manager announces that the fund's one month 95% VaR is 6% of the size of the portfolio being managed. You have an investment of $100,000 in the fund. How do you interpret the portfolio manager's announcement?
2 ) Suppose that a fund manager announces that the fund's one month 95% expected shortfall is 6% of the size of the portfolio being managed. You have an investment of $100,000 in the fund. How do you interpret the portfolio manager's announcement
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Business Mathematics
Authors: Charles MillerStanley SalzmanStanley SalzmanGary Clendenen
11th Edition
0321500121, 9780321500120
